From: Employee stock ownership plan and stock price crash risk
Variable | DEPS | Punish | Lawsuit | |||
---|---|---|---|---|---|---|
NCSKEW (1) | DUVOL (2) | NCSKEW (3) | DUVOL (4) | NCSKEW (5) | DUVOL (6) | |
ESOP_{i,t-1} × DEPS_{i,t} | −0.002^{b} | − 0.002^{c} | ||||
(−2.28) | (−3.52) | |||||
ESOP _{ i,t-1} ×Punish _{ i,t} | −0.008^{b} | −0.015^{b} | ||||
(−2.51) | (−1.98) | |||||
ESOP _{ i,t-1} ×Lawsuit _{ i,t} | −0.005^{c} | −0.010^{b} | ||||
(−3.01) | (−2.27) | |||||
ESOP _{ i,t-1} | −0.027^{b} | −0.04^{b} | − 0.027^{b} | −0.044^{c} | − 0.023^{b} | −0.035^{b} |
(−2.13) | (− 2.57) | (− 2.17) | (−3.09) | (−2.01) | (− 2.05) | |
DEPS _{ i,t} | 0.002^{a} | 0.002^{a} | ||||
(1.93) | (1.68) | |||||
Punish _{ i,t} | 0.059^{b} | 0.019^{b} | ||||
(1.91) | (2.48) | |||||
Lawsuit _{ i,t} | 0.066^{a} | 0.040^{c} | ||||
(1.82) | (3.48) | |||||
Dturn _{ i,t-1} | 0.011 | 0.008 | 0.008 | 0.007 | 0.008 | 0.007 |
(1.47) | (1.51) | (1.09) | (1.22) | (1.11) | (1.23) | |
Hret _{ i,t-1} | 0.725^{c} | 0.54^{c} | 0.723^{c} | 0.527^{c} | 0.724^{c} | 0.527^{c} |
(11.85) | (11.21) | (12.21) | (11.21) | (12.24) | (11.21) | |
Sigma _{ i,t-1} | −3.676^{a} | −1.761 | −2.902 | −1.239 | −3.092 | − 1.343 |
(−1.70) | (− 1.10) | (− 1.38) | (−0.79) | (− 1.47) | (− 0.86) | |
MB _{ i,t-1} | 0.023^{c} | 0.011^{b} | 0.016^{c} | 0.009^{c} | 0.016^{c} | 0.009^{c} |
(3.67) | (2.42) | (3.69) | (2.90) | (3.74) | (2.93) | |
Size _{ i,t-1} | −0.004 | − 0.023^{a} | − 0.012 | − 0.024^{b} | − 0.012 | − 0.023^{a} |
(− 0.26) | (−1.83) | (− 0.75) | (− 1.97) | (− 0.75) | (− 1.96) | |
Lev _{ i,t-1} | 0.158^{a} | 0.061 | 0.118 | 0.039 | 0.114 | 0.036 |
(1.91) | (0.99) | (1.50) | (0.68) | (1.46) | (0.62) | |
ROA _{ i,t-1} | −0.033^{c} | − 0.034^{c} | − 0.028^{c} | − 0.031^{c} | −0.027^{c} | − 0.03^{c} |
(−5.04) | (−6.96) | (−4.40) | (−6.49) | (−4.27) | (−6.38) | |
DA _{ i,t-1} | −0.127 | −0.085 | − 0.158 | − 0.113 | − 0.163 | −0.116 |
(−1.16) | (−1.05) | (− 1.49) | (− 1.44) | (− 1.53) | (− 1.48) | |
NCSKEW _{ i,t-1} | 0.093^{c} | 0.09^{c} | 0.09^{c} | |||
(5.95) | (5.88) | (5.87) | ||||
DUVOL _{ i,t-1} | 0.105^{c} | 0.103^{c} | 0.103^{c} | |||
(6.21) | (6.22) | (6.20) | ||||
Intercept | 0.164 | 0.626^{b} | 0.304 | 0.615^{b} | 0.296 | 0.606^{b} |
(0.41) | (2.09) | (0.80) | (2.18) | (0.78) | (2.15) | |
Fix_ind | Yes | Yes | Yes | Yes | Yes | Yes |
Fix_time | Yes | Yes | Yes | Yes | Yes | Yes |
Adj-R ^{2} | 0.1492 | 0.1771 | 0.1503 | 0.1768 | 0.1509 | 0.1773 |
No. of obs. | 4634 | 4634 | 4832 | 4832 | 4832 | 4832 |